Volatility Spillover Effect and Regime Switch A Study of NSE and Selected International Stock Markets

Abstract

newlineThis explains the process of volatility spillover happening from one market to newlineanother market. The current study analyses the volatility dynamics in context of Indian newlinestock markets vis-s-vis some selected international stock markets. It addresses certain newlinepertinent issues specially related to the research points such as: conditional volatility in newlinethe stock market series; volatility clustering in the stock market series; structural break in newlinethe stock market series; volatility spillover from foreign exchange markets to stock newlinemarkets and relationship between trading volumes and volatility in these markets. To newlineexamine these issues, the current study uses multiple econometric and statistical newlinetechniques. This includes the application of the Autoregressive Heteroscedasticity newline(ARCH) models and the extended version of these models namely Autoregressive newlineHeteroscedasticity (GARCH), Exponential Generalized Autoregressive newlineHeteroscedasticity (EGARCH) and Threshold Autoregressive Heteroscedasticity newline(TARCH) models